Abstract Machine learning algorithms and big data are transforming all industries including
the finance and portfolio management sectors. While these techniques, such as Deep Belief …

This paper is the second of a two-part series that provides essential context for any serious
study of alternative risk premium (ARP) strategies. Practitioners uniformly emphasize the …

Factor investing involves choosing securities to construct portfolios with particular risk–return
profiles. With the proliferation of benchmark-tracking exchange-traded funds (ETFs) virtually …

This research study is conducted on companies in three prominent sectors: Automobile,
Banking and Steel—all three diverse and affected by different economic, fiscal and financial …

Financial technology (Fintech) has become an emerging and powerful tool that contributes
to the advancement of finance research. With the recent development of Fintech, machine …

Abstract Data-driven Machine Learning (ML) modelling is not as widely accepted in
economics as in the broader statistics community, and a large part of it is due to the fact that …

The purpose of this chapter is to critically evaluate the methods used to examine hedge fund
performance, review and synthesize studies that attempt to explain the inconsistencies …

The purpose of this paper was to explore the passive replication of hedge fund returns as an
alternative means of investment. Current popular techniques have generally shown poor out …

Hedge funds have historically been important investments in diversified portfolios of wealthy
individuals and institutional investors. However, recent economic environment and events …

抄録 ベンチマークのないバランス型運用では, しばしば自身と類似した運用を行うプレイヤーとの
パフォーマンス比較が重視されるため, 他のプレイヤーのポジションを把握することが相対的な運用 …